In some patients with major depressive disorder (MDD), individual illness characteristics appear consistent with those of a neuroprogressive illness. Features of neuroprogression include poorer symptomatic, treatment and functional outcomes in patients with earlier disease onset and increased number and length of depressive episodes. In such patients, longer and more frequent depressive episodes appear to increase vulnerability for further episodes, precipitating an accelerating and progressive illness course leading to functional decline. Evidence from clinical, biochemical and neuroimaging studies appear to support this model and are informing novel therapeutic approaches. This paper reviews current knowledge of the neuroprogressive processes that may occur in MDD, including structural brain consequences and potential molecular mechanisms including the role of neurotransmitter systems, inflammatory, oxidative and nitrosative stress pathways, neurotrophins and regulation of neurogenesis, cortisol and the hypothalamic-pituitary-adrenal axis modulation, mitochondrial dysfunction and epigenetic and dietary influences. Evidence-based novel treatments informed by this knowledge are discussed.